There is also the open-source 7zip.

Since exe files have been discussed, there are 'self extracting archives' which are exe files (or bin files) that contain an archive and an unarchive program. You run the exe and it unpacks itself. These only work in windows so you wouldn't normally see a video, say, packed like this - that would be very suspicious. But windows software sometimes is. If you have an exe that you think is a sef-extracting archive and you want to extract it without running it then open it in winzip/7zip. If it won't, be even more suspicious. (Caveat - I haven't done that for years - back in the eMule days - but it worked then.)